Steps:

Process the mayonnaise, milk, yogurt, egg yolk, lemon grass, mustard, cayenne, black pepper and salt in a food processor or blender for 1 minute or until lemon grass pieces are pulverized. Transfer the mixture to a medium saucepan. Cook over medium-low heat, for 3 to 5 minutes or until heated through, stirring constantly with a wire whisk. Do not allow sauce to boil or it will curdle.